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1.
This paper applies unit-root tests to 10 Chinese macroeconomic and financial time series that allow for the possibility of
up to two endogenous structural breaks. We found that 6 of the series, i.e., GDP, GDP per capita, employment, bank credit,
deposit liabilities and investment, can be more accurately characterized as a segmented trend stationarity process around
one or two structural breakpoints as opposed to a stochastic unit root process. Our findings have important implications for
policy-makers to formulate long-term growth strategy and short-run stabilization policies, as well as causality analysis among
the series.
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Translated from Economic Research Journal (经济研究), 2006, (1) (in Chinese) 相似文献
2.
Forecasting nonlinear economic time series: A simple test to accompany the nearest neighbor approach
This paper is based on a recent nonparametric forecasting approach by Sugihara, Grenfell and May (1990) to improve the short term prediction of nonlinear chaotic processes. The idea underlying their forecasting algorithm is as follows: For a nonlinear low-dimensional process, a state space reconstruction of the observed time series exhibits spatial correlation, which can be exploited to improveshort term forecasts by means of locally linear approximations. Still, the important question of evaluating the forecast perfomance is very much an open one, if the researcher is confronted with data that are additionally disturbed by stochastic noise. To account for this problem, a simple nonparametric test to accompany the algorithm is suggested here. To demonstrate its practical use, the methodology is applied to observed price series from commodity markets. It can be shown that the short term predictability of the best fitting linear model can be improved upon significantly by this method. 相似文献
3.
Chris M. Alaouze 《Empirical Economics》2003,28(3):599-613
The modified logit model (Amemiya and Nold, 1975) is generalised to the case where the error term is autocorrelated. The
asymptotic distribution (as n →∞ and T →∞) of a feasible GLS estimator of β is derived. Tests of linear restrictions on β and the significance of ρ are presented.
The results of the applied work suggest that the factors which explain the pricing behaviour of manufacturing firms, as reported
in the tendency survey conducted by the Australian Chamber of Commerce and Industry and the Westpac Banking Corporation, include
historical inflation rates of up to 7 quarters and capacity utilisation.
First version received: March 2001/Final version received: July 2002
RID="*"
ID="*" The first draft of this paper was written while the author was on study leave at the Department of Econometrics, University
of Sydney, Australia. 相似文献
4.
Imad A. Moosa 《Empirical Economics》2000,25(2):261-278
The cyclical behaviour of prices in the U.K. is investigated using a sample of annual observations covering the period 1886–1993.
A structural time series model relating consumer prices to output is estimated over four sub-periods. The results indicate
that prices were procyclical in the inter-war period, countercyclical in the post-1973 period and acyclical otherwise. The
proposition that the cyclical behaviour of prices is determined by the dominance of supply or demand shocks alone is disputed
on the basis of empirical evidence and theoretical reasoning. It is concluded that the cyclical behaviour of prices cannot
be explained just by analysing time series on output and prices and that due attention should be paid to the institutional
and policy changes occurring during the period under study. It is demonstrated that the empirical results are consistent with
the events experienced by the U.K. economy in the most recent period.
First version received: November 1998/final version accepted: October 1999 相似文献